Predictability on Finite Horizon for Processes with Exponential Decrease of Energy on Higher Frequencies
Signal processing, Vol. 90, No. 2, pp. 696-701, February 2010
Posted: 6 Nov 2009
Date Written: November 3, 2009
Abstract
The paper presents sufficient conditions of predictability for continuous time processes in deterministic setting. We found that processes with exponential decay on energy for higher frequencies are predictable in some weak sense on some finite time horizon defined by the rate of decay. Moreover, this predictability can be achieved uniformly over classes of processes. Some explicit formulas for predictors are suggested.
Keywords: nonparametric methods, spectral analysis, forecasting
JEL Classification: C53
Suggested Citation: Suggested Citation
Dokuchaev, Nikolai, Predictability on Finite Horizon for Processes with Exponential Decrease
of Energy on Higher Frequencies (November 3, 2009). Signal processing, Vol. 90, No. 2, pp. 696-701, February 2010, Available at SSRN: https://ssrn.com/abstract=1499283
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